Estimation of Multivariate Long-Memory Models Parameters

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Documentation for package ‘multiwave’ version 2.0

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multiwave-package Estimation of multivariate long-memory models parameters: memory parameters and long-run covariance matrix (also called fractal connectivity).
brainHCP Time series obtained by an fMRI experiment on the brain
compute_nj Wavelets coefficients utilities
convmtx Convolution matrix
DWTcomplex Exact discrete wavelet decomposition with common-factor wavelets
DWTexact Exact discrete wavelet decomposition
fivarma simulation of FIVARMA process
hwlet Common-Factor wavelet filter coefficients
K_eval Evaluation of function K
leja Evaluation of the roots for spectral factorization
mcw Multivariate complex (or real) wavelet Whittle estimation
mcw_wav Multivariate complex (or real) wavelet Whittle estimation for data as wavelet coefficients
mcw_wav_cov_eval Multivariate complex (or real) wavelet Whittle estimation of the long-run covariance matrix
mcw_wav_eval Multivariate real wavelet Whittle estimation for data as wavelet coefficients
mfw multivariate Fourier Whittle estimators
mfw_cov_eval multivariate Fourier Whittle estimators
mfw_eval evaluation of multivariate Fourier Whittle estimator
multiwave Estimation of multivariate long-memory models parameters: memory parameters and long-run covariance matrix (also called fractal connectivity).
mww Multivariate real wavelet Whittle estimation
mww_cov_eval Multivariate real wavelet Whittle estimation of the long-run covariance matrix
mww_eval Evaluation of multivariate real wavelet Whittle estimation
mww_wav Multivariate real wavelet Whittle estimation for data as wavelet coefficients
mww_wav_cov_eval Multivariate real wavelet Whittle estimation of the long-run covariance matrix
mww_wav_eval Multivariate real wavelet Whittle estimation for data as wavelet coefficients
psi_hat_exact Discrete Fourier transform of a real wavelet
psi_hat_exact_complex Discrete Fourier transform of a complex Common-Factor wavelet
scaling_filter wavelet scaling filter coefficients
scaling_function scaling function and the wavelet function
seprts Evaluation of the roots for spectral factorization
sfact Spectral factorization of a polynomial.
toeplitz_nonsym Transform a vector in a non symmetric Toeplitz matrix
varma simulation of multivariate ARMA process
vfracdiff simulation of vector fractional differencing process